CORRECTING THE ERRORS : A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES
Year of publication: |
2002
|
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Authors: | ANDERSEN, Torben G. ; BOLLERSLEV, Tim ; MEDDAHI, Nour |
Institutions: | Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) |
Subject: | measurement errors | model-free adjustment procedures | integrated volatility | realized volatility | high-frequency data | time series forecasting | Mincer-Zarnowitz regressions |
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